20203 - ECONOMETRICS
DES-ESS
Department of Economics
Course taught in English
Course Director:
MASSIMILIANO MARCELLINO
MASSIMILIANO MARCELLINO
Course Objectives
The course offers an introduction to a variety of econometric methods and models, focusing on the basic theory and some more advanced results. In the second part, there is a focus on ecnometric methods for macroeconomic and financial variables. The course is completed by a set of applications based on simulated and actual data, implemented using STATA and Eviews.
Intended Learning Outcomes
Course Content Summary
- Finite simple properties of the OSL estimator in the classical regression model.
- Asymptotic properties of estimators and tests in the presence of possible endogeneity.
- Error heteroskedasticity and serial correlation.
- Panel data models.
- Univariate and multivariate time series models.
- Model with time-varying parameters.
- Forecast evaluation, comparison and combination.
Teaching methods
Assessment methods
Detailed Description of Assessment Methods
Written exam at the end of the course. There is the possibility to the take the partial exams.
Textbooks
- W.H. GREENE, Econometric Analysis, Prentice Hall, 2007, 6th edition.
- J.D. HAMILTON, Time Series Analysis, Princeton University Press.
Prerequisites
Basic calculus, probability theory and linear algebra.
Last change 17/05/2017 13:47